Summary |
This book presents a comprehensive treatment of extreme value methodology for random walk models, time series, certain types of continuous-time stochastic processes and compound Poisson processes, all standard models that occur in applications in insurance mathematics and mathematical finance. Both probabilistic and statistical methods are discussed in detail, with such topics as ruin theory for large claim models, fluctuation theory of sums and extremes, extremes in time series models, point process methods, statistical estimation of quantiles and tail probabilities. Besides summarizing and bringing together known results, the book also features topics which appear for the first time in textbook form, including the theory of subexponential distributions and the spectral theory of heavy-tailed time series.
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